UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: December 31, 2010
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Hennessy Advisors, Inc.
Address: 7250 Redwood Boulevard, Suite 200
Novato, CA 94945
Form 13F File Number: 028-06715
The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Teresa M. Nilsen
Title: Executive Vice President and Chief Financial Officer
Phone: (415) 899-1555
Signature, Place, and Date of Signing:
/s/ Teresa M. Nilsen Novato, CA January 14, 2011
--------------------------------------------------------------------------------
Teresa M. Nilsen City, State Date
Report Type (Check only one):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings reported are in this report,
and all holdings are reported by other reporting manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for
this reporting manager are reported in this report and a portion are
reported byother reporting manager(s).)
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
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Form 13F Information Table Entry Total: 199
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Form 13F Information Table Value Total: $669,695
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(thousands)
List of Other Included Managers: NONE
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Value Shares/ Sh/ Put/ Invstmt Other Voting Authority
Name of Issuer Title of Class CUSIP (x1000) Prn Amt Prn Call Dscretn Managers Sole Shared None
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------
ABBOTT LABS COM 002824100 2,764 57,700 SH SOLE 57,700
ADVANCE AUTO PARTS INC COM 00751Y106 4,888 73,900 SH SOLE 73,900
AIR TRANSPORT SERVICES GRP INC COM 00922R105 4,945 626,000 SH SOLE 626,000
ALAMO GROUP INC COM 011311107 721 25,900 SH SOLE 25,900
ALASKA AIR GROUP INC COM 011659109 697 12,300 SH SOLE 12,300
ALLIED HEALTHCARE INTL INC COM 01923A109 28 11,090 SH SOLE 11,090
ALTRIA GROUP INC COM 02209S103 4,523 183,700 SH SOLE 183,700
AMERCO COM 023586100 3,784 39,400 SH SOLE 39,400
AMERICAN INTL GROUP INC COM 026874784 910 15,800 SH SOLE 15,800
AMERIGROUP CORP COM 03073T102 4,919 112,000 SH SOLE 112,000
ANNTAYLOR STORES CORP COM 036115103 4,213 153,800 SH SOLE 153,800
APOLLO GROUP INC COM 037604105 948 24,000 SH SOLE 24,000
APPLIED INDL TECHNOLOGIES INC COM 03820C105 4,716 145,200 SH SOLE 145,200
ARVINMERITOR INC COM 043353101 6,930 337,700 SH SOLE 337,700
ASHFORD HOSPITALITY TR INC COM 044103109 3,898 403,900 SH SOLE 403,900
AT&T INC COM 00206R102 8,082 275,100 SH SOLE 275,100
ATLAS PIPELINE HOLDINGS LP COM 04939R108 4,175 278,300 SH SOLE 278,300
ATLAS PIPELINE PARTNERS LP COM 049392103 4,085 165,600 SH SOLE 165,600
AUTOLIV INC ADR 052800109 5,589 70,800 SH SOLE 70,800
AUTOMATIC DATA PROCESSING INC COM 053015103 2,832 61,200 SH SOLE 61,200
AUTOZONE INC COM 053332102 2,235 8,200 SH SOLE 8,200
BANCO MACRO SA SPON ADR B 05961W105 949 18,900 SH SOLE 18,900
BAXTER INTL INC COM 071813109 1,584 31,300 SH SOLE 31,300
BCE INC COM NEW 05534B760 3,007 84,800 SH SOLE 84,800
BECTON DICKINSON & CO COM 075887109 1,657 19,600 SH SOLE 19,600
BEST BUY INC COM 086516101 1,097 32,000 SH SOLE 32,000
BORGWARNER INC COM 099724106 10,999 152,000 SH SOLE 152,000
BRISTOL MYERS SQUIBB CO COM 110122108 4,425 167,100 SH SOLE 167,100
BROWN SHOE INC NEW COM 115736100 488 35,000 SH SOLE 35,000
BRUSH ENGINEERED MATLS INC COM 117421107 4,142 107,200 SH SOLE 107,200
BUCKEYE TECHNOLOGIES INC COM 118255108 4,174 198,680 SH SOLE 198,680
CALLON PETE CO DEL COM 13123X102 564 95,200 SH SOLE 95,200
CAMPBELL SOUP CO COM 134429109 4,257 122,500 SH SOLE 122,500
CARDINAL HEALTH INC COM 14149Y108 1,594 41,600 SH SOLE 41,600
CARDTRONICS INC COM 14161H108 818 46,200 SH SOLE 46,200
CASCADE CORP COM 147195101 704 14,900 SH SOLE 14,900
CENTURYLINK INC COM 156700106 3,033 65,700 SH SOLE 65,700
CHEVRON CORP NEW COM 166764100 9,089 99,600 SH SOLE 99,600
CHINA MOBILE LIMITED SPONSORED ADR 16941M109 2,689 54,200 SH SOLE 54,200
CIGNA CORP COM 125509109 1,683 45,900 SH SOLE 45,900
CLEARWATER PAPER CORP COM 18538R103 775 9,900 SH SOLE 9,900
CLOROX CO DEL COM 189054109 1,474 23,300 SH SOLE 23,300
COCA COLA CO COM 191216100 2,736 41,600 SH SOLE 41,600
COMMERCIAL VEH GROUP INC COM 202608105 4,628 284,800 SH SOLE 284,800
COMPANHIA SIDERURGICA NACION SPONSORED ADR 20440W105 2,727 163,600 SH SOLE 163,600
COMPLETE PRODUCTION SERVICES COM 20453E109 5,969 202,000 SH SOLE 202,000
CONAGRA FOODS INC COM 205887102 2,906 128,700 SH SOLE 128,700
CONOCOPHILLIPS COM 20825C104 3,051 44,800 SH SOLE 44,800
CONSOL ENERGY INC COM 20854P109 1,672 34,300 SH SOLE 34,300
CONSOLIDATED GRAPHICS INC COM 209341106 610 12,600 SH SOLE 12,600
COST PLUS INC CALIF COM 221485105 3,857 397,600 SH SOLE 397,600
CPI CORP COM 125902106 3,249 144,100 SH SOLE 144,100
CROCS INC COM 227046109 7,254 423,700 SH SOLE 423,700
CROWN HOLDINGS INC COM 228368106 1,843 55,200 SH SOLE 55,200
DDI CORP COM 233162502 4,158 353,600 SH SOLE 353,600
DIAGEO P L C SPON ADR NEW 25243Q205 2,773 37,300 SH SOLE 37,300
DIAMOND OFFSHORE DRILLING INC COM 25271C102 1,177 17,600 SH SOLE 17,600
DILLARDS INC COM 254067101 4,295 113,200 SH SOLE 113,200
DINEEQUITY INC COM 254423106 3,659 74,100 SH SOLE 74,100
DIRECTV COM 25490A101 1,645 41,200 SH SOLE 41,200
DISH NETWORK CORP COM 25470M109 1,327 67,500 SH SOLE 67,500
DOLLAR TREE INC COM 256746108 7,105 126,700 SH SOLE 126,700
DOT HILL SYSTEMS CORP COM 25848T109 30 17,310 SH SOLE 17,310
DRUGSTORE.COM INC COM 262241102 24 10,700 SH SOLE 10,700
DU PONT E I DE NEMOURS & CO COM 263534109 8,926 178,950 SH SOLE 178,950
DYNAVAX TECHNOLOGIES CORP COM 268158102 63 19,840 SH SOLE 19,840
ENI S P A SPONSORED ADR 26874R108 2,747 62,800 SH SOLE 62,800
ENTERPRISE PRODS PARTNERS L P COM 293792107 2,676 64,300 SH SOLE 64,300
ESTERLINE TECHNOLOGIES CORP COM 297425100 789 11,500 SH SOLE 11,500
F M C CORP COM 302491303 1,861 23,300 SH SOLE 23,300
FAMILY DLR STORES INC COM 307000109 6,830 137,400 SH SOLE 137,400
FERRO CORP COM 315405100 5,093 347,900 SH SOLE 347,900
FLOWSERVE CORP COM 34354P105 1,526 12,800 SH SOLE 12,800
FLUOR CORP NEW COM 343412102 1,888 28,500 SH SOLE 28,500
FOREST LABS INC COM 345838106 1,759 55,000 SH SOLE 55,000
FRANCE TELECOM SPONSORED ADR 35177Q105 2,561 121,500 SH SOLE 121,500
FREEPORT-MCMORAN COPPER & GO COM 35671D857 2,342 19,500 SH SOLE 19,500
FRONTIER COMMUNICATIONS CORP COM 35906A108 154 15,804 SH SOLE 15,804
GAP INC DEL COM 364760108 1,308 59,100 SH SOLE 59,100
GARDNER DENVER INC COM 365558105 826 12,000 SH SOLE 12,000
GENERAL COMMUNICATION INC COM 369385109 4,182 330,300 SH SOLE 330,300
GENERAL MLS INC COM 370334104 4,285 120,400 SH SOLE 120,400
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,781 70,900 SH SOLE 70,900
GREENBRIER COS INC COM 393657101 3,776 179,900 SH SOLE 179,900
GRUPO FINANCIERO GALICIA S A SP ADR 10 SH B 399909100 4,077 266,300 SH SOLE 266,300
HEALTHSPRING INC COM 42224N101 4,969 187,300 SH SOLE 187,300
HEINZ H J CO COM 423074103 4,471 90,400 SH SOLE 90,400
HILL ROM HLDGS INC COM 431475102 736 18,700 SH SOLE 18,700
HOME DEPOT INC COM 437076102 3,113 88,800 SH SOLE 88,800
HONEYWELL INTL INC COM 438516106 1,685 31,700 SH SOLE 31,700
HSN INC COM 404303109 4,378 142,900 SH SOLE 142,900
HUMANA INC COM 444859102 1,867 34,100 SH SOLE 34,100
IDT CORP COM 448947507 5,199 202,700 SH SOLE 202,700
INNOSPEC INC COM 45768S105 3,862 189,300 SH SOLE 189,300
INTEL CORP COM 458140100 6,330 301,000 SH SOLE 301,000
INTERFACE INC COM 458665106 4,900 313,100 SH SOLE 313,100
INTERNATIONAL BUSINESS MACHS COM 459200101 1,688 11,500 SH SOLE 11,500
ISTAR FINL INC COM 45031U101 4,615 590,200 SH SOLE 590,200
JO-ANN STORES INC COM 47758P307 5,865 97,400 SH SOLE 97,400
JOE'S JEANS INC COM 47777N101 27 17,620 SH SOLE 17,620
JOHNSON & JOHNSON COM 478160104 8,328 134,650 SH SOLE 134,650
JONES LANG LASALLE INC COM 48020Q107 4,448 53,000 SH SOLE 53,000
JOY GLOBAL INC COM 481165108 2,134 24,600 SH SOLE 24,600
KELLOGG CO COM 487836108 4,362 85,400 SH SOLE 85,400
KEMET CORP COM 488360207 4,657 319,400 SH SOLE 319,400
KIMBERLY CLARK CORP COM 494368103 4,362 69,200 SH SOLE 69,200
KRAFT FOODS INC COM 50075N104 7,884 250,200 SH SOLE 250,200
KRISPY KREME DOUGHNUTS INC COM 501014104 4,007 574,050 SH SOLE 574,050
KT CORP ADR 48268K101 2,640 126,900 SH SOLE 126,900
LABORATORY CORP AMER HLDGS COM 50540R409 1,688 19,200 SH SOLE 19,200
LEXMARK INTL NEW COM 529771107 3,583 102,900 SH SOLE 102,900
LIBBEY INC COM 529898108 5,046 326,200 SH SOLE 326,200
LIBERTY GLOBAL INC COM 530555101 1,918 54,200 SH SOLE 54,200
LIFETIME BRANDS INC COM 53222Q103 517 36,800 SH SOLE 36,800
LILLY ELI & CO COM 532457108 4,306 122,900 SH SOLE 122,900
LIONBRIDGE TECHNOLOGIES INC COM 536252109 429 116,200 SH SOLE 116,200
LOCKHEED MARTIN CORP COM 539830109 4,034 57,700 SH SOLE 57,700
LORAL SPACE & COMMUNICATNS INC COM 543881106 1,071 14,000 SH SOLE 14,000
LORILLARD INC COM 544147101 1,576 19,200 SH SOLE 19,200
LUBRIZOL CORP COM 549271104 6,114 57,200 SH SOLE 57,200
MACQUARIE INFRASTR CO LLC COM 55608B105 887 41,900 SH SOLE 41,900
MAGELLAN HEALTH SVCS INC COM 559079207 4,553 96,300 SH SOLE 96,300
MARSH & MCLENNAN COS INC COM 571748102 2,986 109,200 SH SOLE 109,200
MATTEL INC COM 577081102 4,628 182,000 SH SOLE 182,000
MCDONALDS CORP COM 580135101 3,619 47,150 SH SOLE 47,150
MCGRAW HILL COS INC COM 580645109 1,609 44,200 SH SOLE 44,200
MEDCATH CORP COM 58404W109 4,217 302,300 SH SOLE 302,300
MEDIA GEN INC COM 584404107 313 54,100 SH SOLE 54,100
MERCER INTL INC ADR 588056101 4,702 606,700 SH SOLE 606,700
MERCK & CO INC NEW COM 58933Y105 7,705 213,800 SH SOLE 213,800
MOBILE TELESYSTEMS OJSC SPONSORED ADR 607409109 2,711 129,900 SH SOLE 129,900
MOODYS CORP COM 615369105 1,587 59,800 SH SOLE 59,800
NACCO INDS INC COM 629579103 4,801 44,300 SH SOLE 44,300
NEENAH PAPER INC COM 640079109 590 30,000 SH SOLE 30,000
NETWORK ENGINES INC COM 64121A107 33 21,700 SH SOLE 21,700
NEWCASTLE INVT CORP COM 65105M108 4,663 695,900 SH SOLE 695,900
NEWPORT CORP COM 651824104 4,186 241,000 SH SOLE 241,000
NOKIA CORP SPONSORED ADR 654902204 2,784 269,800 SH SOLE 269,800
OWENS CORNING NEW COM 690742101 564 18,100 SH SOLE 18,100
PACER INTL INC TENN COM 69373H106 556 81,300 SH SOLE 81,300
PETROCHINA CO LTD ADR 71646E100 2,827 21,500 SH SOLE 21,500
PFIZER INC COM 717081103 8,065 460,600 SH SOLE 460,600
PHILIP MORRIS INTL INC COM 718172109 4,536 77,500 SH SOLE 77,500
PIER 1 IMPORTS INC COM 720279108 4,104 390,900 SH SOLE 390,900
PITNEY BOWES INC COM 724479100 2,882 119,200 SH SOLE 119,200
POLYONE CORP COM 73179P106 4,761 381,200 SH SOLE 381,200
POWER ONE INC NEW COM 73930R102 4,573 448,300 SH SOLE 448,300
PRICESMART INC COM 741511109 4,050 106,500 SH SOLE 106,500
QUAKER CHEM CORP COM 747316107 4,988 119,700 SH SOLE 119,700
QUIKSILVER INC COM 74838C106 4,112 811,000 SH SOLE 811,000
RAYTHEON CO COM 755111507 3,967 85,600 SH SOLE 85,600
ROCHE HLDG LTD ADR 771195104 2,815 76,800 SH SOLE 76,800
ROCKWOOD HLDGS INC COM 774415103 5,406 138,200 SH SOLE 138,200
ROSS STORES INC COM 778296103 1,645 26,000 SH SOLE 26,000
ROYAL DUTCH SHELL PLC SPON ADR A 780259206 2,838 42,500 SH SOLE 42,500
RUBY TUESDAY INC COM 781182100 3,935 301,300 SH SOLE 301,300
SAIC INC COM 78390X101 1,308 82,500 SH SOLE 82,500
SANOFI AVENTIS ADR 80105N105 2,669 82,800 SH SOLE 82,800
SAUER-DANFOSS INC COM 804137107 3,698 130,900 SH SOLE 130,900
SELECT COMFORT CORP COM 81616X103 562 61,600 SH SOLE 61,600
SINCLAIR BROADCAST GROUP INC CL A 829226109 719 87,900 SH SOLE 87,900
SKECHERS U S A INC COM 830566105 292 14,600 SH SOLE 14,600
STANDEX INTL CORP COM 854231107 655 21,900 SH SOLE 21,900
STATOIL ASA ADR 85771P102 3,111 130,900 SH SOLE 130,900
SUNOPTA INC ADR 8676EP108 4,284 547,800 SH SOLE 547,800
SXC HEALTH SOLUTIONS CORP COM 78505P100 677 15,800 SH SOLE 15,800
SYSCO CORP COM 871829107 4,254 144,700 SH SOLE 144,700
TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 3,154 251,500 SH SOLE 251,500
TELEFONICA S A SPONSORED ADR 879382208 2,579 37,700 SH SOLE 37,700
TENNANT CO COM 880345103 649 16,900 SH SOLE 16,900
TENNECO INC COM 880349105 10,525 255,700 SH SOLE 255,700
TIMKEN CO COM 887389104 4,114 86,200 SH SOLE 86,200
TITAN INTL INC ILL COM 88830M102 4,338 222,000 SH SOLE 222,000
TJX COS INC NEW COM 872540109 1,403 31,600 SH SOLE 31,600
TORO CO COM 891092108 4,746 77,000 SH SOLE 77,000
TOTAL S A SPONSORED ADR 89151E109 2,770 51,800 SH SOLE 51,800
TPC GROUP INC COM 89236Y104 4,451 146,800 SH SOLE 146,800
TRACTOR SUPPLY CO COM 892356106 9,714 200,336 SH SOLE 200,336
TRIMAS CORP COM 896215209 4,777 233,500 SH SOLE 233,500
TRW AUTOMOTIVE HLDGS CORP COM 87264S106 11,436 217,000 SH SOLE 217,000
TUESDAY MORNING CORP COM 899035505 3,975 752,800 SH SOLE 752,800
U S AIRWAYS GROUP INC COM 90341W108 9,164 915,500 SH SOLE 915,500
ULTA SALON COSMETCS & FRAG INC COM 90384S303 6,062 178,300 SH SOLE 178,300
ULTRA CLEAN HLDGS INC COM 90385V107 614 65,900 SH SOLE 65,900
UNITED CONTL HLDGS INC COM 910047109 9,071 380,800 SH SOLE 380,800
UNITED RENTALS INC COM 911363109 3,986 175,200 SH SOLE 175,200
UNIVERSAL AMERICAN CORP COM 913377107 761 37,200 SH SOLE 37,200
VALASSIS COMMUNICATIONS INC COM 918866104 4,723 146,000 SH SOLE 146,000
VERIZON COMMUNICATIONS INC COM 92343V104 8,761 244,850 SH SOLE 244,850
VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 2,638 99,800 SH SOLE 99,800
WASTE MGMT INC DEL COM 94106L109 2,931 79,500 SH SOLE 79,500
WESTELL TECH INC CL A 957541105 77 23,580 SH SOLE 23,580
WESTERN DIGITAL CORP COM 958102105 1,176 34,700 SH SOLE 34,700
WESTERN REFNG INC COM 959319104 4,105 388,000 SH SOLE 388,000
WHIRLPOOL CORP COM 963320106 533 6,000 SH SOLE 6,000
WILLIAMS SONOMA INC COM 969904101 4,997 140,000 SH SOLE 140,000
WYNDHAM WORLDWIDE CORP COM 98310W108 4,704 157,000 SH SOLE 157,000
YUM BRANDS INC COM 988498101 1,702 34,700 SH SOLE 34,700
ZIONS BANCORPORATION COM 989701107 594 24,500 SH SOLE 24,500
TOTAL 669,695